How do I turn this off?
W cycles the mode of the 'Select' tool (the topmost icon in the toolshelf). Available modes are Select Box, Select Circle, Select Lasso, Tweak. In your screenshot you can see that it's set to 'Select Circle' as you can also see the 'Radius' setting that lets you control how large the selection region is.
Simply press W again until you get back to 'Select Box' mode.